Ex-Dividend Price Behavior in Spanish speaking markets: do stocks behave differently in Spain, Mexico, and Chile?

The main focus of this thesis is to analyze the behavior of stock price on ex-dividend day of ADRs in Spain, Mexico, and Chile. Announcement date, and ex-dividend date for each ADR is collected to be analyzed against the other ADRs. One would expect different behaviors in the different markets because of different tax treatments in Chile, Mexico, and Spain. Traditional event testing is being used to analyze the stock price behavior on and around ex-dividend days. The event test measures the impact of regulatory events and allows for abnormal changes in stock prices that occur in conjunction with dividend announcements. The final analysis indicates that stock prices do not in fact behave as expected on and around declaration dates and ex-dividend dates. This could be as a result of the small data sample, or errors in the data collected which may have clouded the results of the analysis